An optimal control strategy for execution of large stock orders using long short-term memory networks
A. Papanicolaou, H. Fu, P. Krishnamurthy, B. Healy and F. Khorrami
| Year of publication: |
2023
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|---|---|
| Authors: | Papanicolaou, Andrew ; Fu, Hao ; Krishnamurthy, Prashanth ; Healy, Brian ; Khorrami, Farshad |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 26.2023, 4, p. 37-65
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| Subject: | price impact | order books | optimal execution | long short-term memory (LSTM) networks | trading volume | Handelsvolumen der Börse | Trading volume | Börsenkurs | Share price | Wertpapierhandel | Securities trading | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2023.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014342063